Sökning: onr:"swepub:oai:DiVA.org:oru-112586" >
Constructing Bayesi...
Constructing Bayesian tangency portfolios under short-selling restrictions
-
- Bodnar, Olha, senior lecturer, 1979- (författare)
- Örebro universitet,Handelshögskolan vid Örebro Universitet,Unit of Statistics
-
- Bodnar, Taras (författare)
- Department of Mathematics, Stockholm University, Stockholm, Sweden
-
- Niklasson, Vilhelm (författare)
- Department of Mathematics, Stockholm University, Stockholm, Sweden
-
(creator_code:org_t)
- Elsevier, 2024
- 2024
- Engelska.
-
Ingår i: Finance Research Letters. - : Elsevier. - 1544-6123 .- 1544-6131. ; 62
- Relaterad länk:
-
https://doi.org/10.1...
-
visa fler...
-
https://urn.kb.se/re...
-
https://doi.org/10.1...
-
visa färre...
Abstract
Ämnesord
Stäng
- We address the challenge of constructing tangency portfolios in the context of short-selling restrictions. Utilizing Bayesian techniques, we reparameterize the asset return model, enabling direct determination of priors for the tangency portfolio weights. This facilitates the integration of non-negative weight constraints into an investor's prior beliefs, resulting in a posterior distribution focused exclusively on non-negative values. Portfolio weight estimators are subsequently derived via the Markov Chain Monte Carlo (MCMC) methodology. Our novel Bayesian approach is empirically illustrated using the most significant stocks in the S&P 500 index. The method showcases promising results in terms of risk-adjusted returns and interpretability.
Ämnesord
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Nyckelord
- Bayesian inference
- Tangency portfolio
- MCMC
- Parameter uncertainty
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
Hitta via bibliotek
Till lärosätets databas